Effacer les filtres
Effacer les filtres

multivariate Archimedean copulas (Clayton, Gumbel and Frank)

2 vues (au cours des 30 derniers jours)
Nirajan Khatri
Nirajan Khatri le 29 Déc 2020
Hi everyone,
I'm traying to estimate families of multivariate Archimedean copulas (Clayton, Gumbel and Frank) for 4 random variables
The first problem arise while estimating the kendall's tau or spearman's rho from the data needed for the simulation of the copula.
I've read many papers on the subject and none of them shows a code or a clear algorithm, but only complicated formulas for computer
implementation or suggest a method barely explained. Does anyone knows a paper or a book where the author go into thecnical issues
thanks in advance for any suggestion.

Réponses (0)

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by